Leibniz Group : SWARM Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 31.15% Dec Performance 0.09% Min Investment $ 100k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 13.44% Sharpe (RFR=1%) 1.13 CAROR 16.43% Assets $ 12.0M Worst DD -5.79 S&P Correlation -0.06 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Dec Qtr 2020 1yr 3yr 5yr 10yr Since9/2015 SWARM 0.09 2.39 31.15 31.15 94.60 126.08 - 125.08 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 - 93.64 +/- S&P 500 -3.62 -9.30 14.89 14.89 54.12 44.18 - 31.44 Strategy Description SummaryLeibniz Group is an independent Asset Management company based in Lucerne/Switzerland. The company was incorporated in 2012 by some very experienced investment specialists with primary activities in Alternative Asset Management. As of today, award winning systematic investment strategies... Read More Account & Fees Type Fund Minimum Investment $ 100k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 5.00 Management Fee 1.00% Performance Fee 20.00% Average Commission Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 20000 RT/YR/$M Avg. Margin-to-Equity 20% Targeted Worst DD -10.00% Worst Peak-to-Trough Sector Focus Currency Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 80.00% Intraday 20.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Arbitrage 10.00% Counter-trend 10.00% Fundamental 10.00% Pattern Recognition 10.00% Seasonal/cyclical 10.00% Technical 10.00% Other 40.00% Composition Currency FX 100.00% SummaryLeibniz Group is an independent Asset Management company based in Lucerne/Switzerland. The company was incorporated in 2012 by some very experienced investment specialists with primary activities in Alternative Asset Management. As of today, award winning systematic investment strategies are the core competencies of Leibniz Group. Regulation: Registered with the US Commodity Futures Trading Commission ("CFTC") as a commodity trading advisor and a member of the National Futures Association ("NFA"). Regulated member of the Financial Services Standards Association (VQF), the largest Swiss Self- Regulatory Organization (SRO) recognized by the Swiss Financial Market Supervisory Authority (FINMA).Investment StrategyThe SWARM Program (SWARM) is a fully systematic investment strategy based entirely on machine learning approaches. The strategy screens assets globally and then build positions via 20+ FX spot pairs. Various sub-strategies diversify trading approaches and contribute their inputs to their respective regularized neural networks. The execution of the strategy is systematic, and all facets of the models, risk management and trade allocation are fully automated. Average holding periods approx. 1 day. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -5.79 2 4 2/1/2018 4/1/2018 -5.27 8 2 11/1/2016 7/1/2017 -5.25 5 3 10/1/2015 3/1/2016 -4.49 7 1 1/1/2019 8/1/2019 -2.30 1 1 8/1/2018 9/1/2018 -1.93 1 1 1/1/2020 2/1/2020 -1.18 1 1 10/1/2019 11/1/2019 -1.03 2 1 8/1/2016 10/1/2016 -0.87 2 1 8/1/2020 10/1/2020 -0.75 1 1 6/1/2020 7/1/2020 -0.03 1 1 1/1/0001 9/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 34.88 7 8/1/2017 2/1/2018 26.92 4 3/1/2020 6/1/2020 13.52 4 10/1/2018 1/1/2019 11.16 2 9/1/2019 10/1/2019 10.65 5 4/1/2016 8/1/2016 8.55 4 5/1/2018 8/1/2018 6.72 2 12/1/2019 1/1/2020 5.09 1 11/1/2016 11/1/2016 2.57 2 11/1/2020 12/1/2020 1.13 1 8/1/2020 8/1/2020 0.68 1 4/1/2019 4/1/2019 0.39 1 2/1/2017 2/1/2017 0.22 1 6/1/2019 6/1/2019 0.18 1 10/1/2015 10/1/2015 0.04 1 12/1/2015 12/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -5.79 2 3/1/2018 4/1/2018 -4.69 3 1/1/2016 3/1/2016 -2.90 5 3/1/2017 7/1/2017 -2.83 2 12/1/2016 1/1/2017 -2.33 1 5/1/2019 5/1/2019 -2.30 1 9/1/2018 9/1/2018 -2.02 2 7/1/2019 8/1/2019 -1.93 1 2/1/2020 2/1/2020 -1.18 1 11/1/2019 11/1/2019 -1.09 2 2/1/2019 3/1/2019 -1.03 2 9/1/2016 10/1/2016 -0.87 2 9/1/2020 10/1/2020 -0.75 1 7/1/2020 7/1/2020 -0.63 1 11/1/2015 11/1/2015 -0.03 1 9/1/2015 9/1/2015 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods64.0062.0059.0053.0047.0041.0029.0017.00 Percent Profitable57.8166.1379.6698.11100.00100.00100.00100.00 Average Period Return1.344.178.9419.3328.8441.4571.7895.13 Average Gain3.157.1911.8619.7228.8441.4571.7895.13 Average Loss-1.13-1.74-2.51-0.91 Best Period19.4526.0832.3046.4552.9962.34111.60120.54 Worst Period-4.56-4.69-5.08-0.914.825.4639.4551.14 Standard Deviation3.886.8810.1413.2614.4114.3324.1423.44 Gain Standard Deviation4.206.619.2813.0814.4114.3324.1423.44 Loss Standard Deviation1.031.271.63 Sharpe Ratio (1%)0.330.570.831.381.902.752.853.89 Average Gain / Average Loss2.794.144.7321.57 Profit / Loss Ratio3.828.0918.521121.82 Downside Deviation (10%)1.201.882.391.210.740.75 Downside Deviation (5%)1.021.361.530.28 Downside Deviation (0%)0.981.241.330.13 Sortino Ratio (10%)0.781.572.7111.8728.7141.71 Sortino Ratio (5%)1.232.885.5265.81 Sortino Ratio (0%)1.373.366.71153.96 Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index Month 7 25.24 3/2020 Systematic Trader Index Month 9 25.24 3/2020 IASG CTA Index 3 Year 7 65.03 2016 - 2019 IASG CTA Index Month 5 5.55 12/2019 Systematic Trader Index Month 5 5.55 12/2019 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel